Centro de Documentacion de Fundación MAPFRE - Age-specific adjustment of graduated mortality

MAP20180022524

Age-specific adjustment of graduated mortality / Yahia Salhi, Pierre-E. Thérond

Sumario: Recently, there has been an increasing interest from life insurers to assess their portfolios' mortality risks. The new European prudential regulation, namely best capture and reflect the experienced mortality, and thus policyholders' actual risk profiles, in order to adequately quantify the underlying risk. Therefore, building a mortality table based on the experience of the portfolio is highly recommended and, for this purpose, various approaches have been introduced into actuarial literature. Although such approaches succeed in capturing the main features, it remains difficult to assess the mortality when the underlying portfolio lacks sufficient exposure. In this paper, we propose graduating the mortality curve using an adaptive procedure based on the local likelihood. The latter has the ability to model the mortality patterns even in presence of complex structures and avoids relying on expert opinions. However, such a technique fails to offer a consistent yet regular structure for portfolios with limited deaths. Although the technique borrows the information from the adjacent ages, it is sometimes not sufficient to produce a robust life table. In the presence of such a bias, we propose adjusting the corresponding curve, at the age level, based on a credibility approach. This consists in reviewing the assumption of the mortality curve as new observations arrive. We derive the updating procedure and investigate its benefits of using the latter instead of a sole graduation based on real datasets. Moreover, we look at the divergences in the mortality forecasts generated by the classic credibility approaches including HardyPanjer, the PoissonGamma model and the Makeham framework on portfolios originating from various French insurance companies

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/05/2018 Volumen 48 Número 2 - mayo 2018 , p. 543-569

1. Empresas de seguros . 2. Seguro de vida . 3. Evaluación de riesgos . 4. Análisis de riesgos . 5. Mortalidad . 6. Cálculo actuarial . 7. Modelos actuariales . 8. Método de Panjer . I. Thérond, Pierre-E. . II. Title.